Simplified Estimating Functions for Diffusion Models with a High‐dimensional Parameter

By Bo Martin Bibby, Michael SØrensen. 2001

58 citations recorded by the source corpus.

Subfields: Computational Mechanics, Finance

View Paper: https://www.semanticscholar.org/paper/1068445a79dc12716cacfbdb77742da66d5f6aa9

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Computational Mechanics

1. Michael SØrensen
2. Susanne Ditlevsen
3. Bo Martin Bibby
4. I. Skovgaard
5. Arnaud Gloter
6. Arnoldo Frigessi

In Finance

1. Michael SØrensen
2. Susanne Ditlevsen
3. Arnaud Gloter
4. Bo Martin Bibby
5. I. Skovgaard
6. Martin Jacobsen
7. Knut Heggland
8. Arnoldo Frigessi

Citations in the corpus

• Parameter Estimation for a Discretely Observed Integrated Diffusion Process (2006, background): “Under the assumption of fixed sampling interval, different kinds of estimating functions have been studied (see e.g. Barndorff-Nielsen & Sørensen, 1994; Kessler & Sørensen, 1999; Sørensen, 1999, 2000; Kessler, 2000; Bibby & Sørensen, 2001).”
• CHAPTER 4 – Estimating Functions for Discretely Sampled Diffusion-Type Models (2010, background): “…estimating functions have turned out to be very useful in obtaining estimators for discretely sampled diffusion-type models; see for instance Bibby & Sørensen (1995), Bibby & Sørensen (1996), Sørensen (1997), Kessler & Sørensen (1999), Kessler (2000), Bibby & Sørensen (2001), and Jacobsen (2001a).”
• Diffusion-type models with given marginal distribution and autocorrelation function (2005, methodology): “In Bibby & Sørensen (1997) and Bibby & Sørensen (2001) a similar approach based only on the marginal density f was used in connection with financial data.”
• Estimating functions in indirect inference (2004, background): “An example is discretely observed diffusions; see Bibby and Sørensen (2001) and Sørensen (2001) for example.”
• Stein’s method for invariant measures of diffusions via Malliavin calculus☆ (2012, unknown): “Another method for constructing such a diffusion is given in [4].”
• Inference for Observations of Integrated Diffusion Processes (2004, methodology): “Martingale estimating functions are a useful tool for statistical inference based on discretely sampled diffusions, see e.g. Bibby & Sørensen (1995, 1997, 2001), Pedersen (2000), and Sørensen (1997) and references therein.”
• Hyperbolic Processes in Finance (2003, methodology): “Using (4.2), Bibby & Srensen (2001) discussed a method for constructing diusion processes with a prescribed marginal (invariant) distribution.”